Backward stochastic differential equations and partial differential equations with quadratic growth

• 成果类型: Article
• 署名作者: Kobylanski, M
• 署名单位: Universite de Tours
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/aop/1019160253
• 发表日期: 2000
• 页码: 558-602
• 关键词: viscosity solutions

摘要

We provide existence, comparison and stability results for one-dimensional backward stochastic differential equations (BSDEs) when the coefficient (or generator) F(t, Y, Z) is continuous and has a quadratic growth in Z and the terminal condition is bounded. We also give, in this framework, the links between the solutions of BSDEs set on a diffusion and viscosity or Sobolev solutions of the corresponding semilinear partial differential equations.